Identifying a Liquidity Effect in the Japanese Interbank Market
Identifying a Liquidity Effect in the Japanese Interbank Market
复制标题
识别日本银行间市场的流动性效应
DOI：
10.1111/1468-2354.00111
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发表时间：
2001
影响因子：
1.5
通讯作者：
F. Hayashi
中科院分区：
文献类型：
--
作者：
F. Hayashi
本文考察了1996年1月4日至1999年2月12日期间，日本银行间准备金市场是否存在流动性效应。根据标准的鞅模型，准备金维持期间隔夜利率的唯一决定因素是结算日(期间的最后一天)预计占上风的利率，但该模型忽略了准备金用于银行间支付的事实。如果将透支成本引入银行的准备金管理问题，隔夜利率也将取决于本文所称的准备金盈余，它反映了准备金的流动性效应。我们通过利用两个制度特征来识别流动性效应。首先，上午观察到的隔夜利率是当天晚些时候结算的合约的远期利率。第二，由公开市场操作以外的因素引起的储备变动是通过公开市场部门的防御性操作暂时实现的。我们发现，流动性效应可以从即期-远期价差对这些暂时性流动性冲击的回归中识别出来。我们的估计表明，至少在1997年11月山市崩盘之前，存在流动性效应。
This article examines whether there was a liquidity effect in the Japanese interbank market for reserves during the period from January 4, 1996, to February 12, 1999. According to the standard martingale model, the only determinant of the overnight rate during the reserve maintenance period is the rate that is expected to prevail on the settlement day (the last day of the period), but this model ignores the fact that reserves are used for interbank payments. If overdraft costs are introduced into banks' reserve management problem, the overnight rate will also depend on what this paper calls the reserve surplus, which captures the liquidity effect of reserves. We identify the liquidity effect by exploiting two institutional features. First, the overnight rates observed in the morning are forward rates for a contract to be settled later in the day. Second, changes in reserves that are due to factors other than open market operations are rendered temporary through defensive operations by the Open Market Desk. We show that the liquidity effect can be identified from the regression of the spot-forward differential on these temporary liquidity shocks. Our estimates indicate that there was a liquidity effect, at least before the Yamaichi debacle of November 1997.